T. Toronjadze

Optimal Mean-Variance Robust Hedging Under Asset Price Model Misspecification

The problem of constructing robust optimal in the mean-va\-ri\-an\-ce sense trading strategies is considered. The approach based on the notion of sensitivity of a risk functional of the problem w.r.t. small perturbation of asset price model parameters is suggested. The optimal mean-variance robust trading strategies are constructed for one-dimensional diffusion models with misspecified volatility